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Arbitrage Theory in Continuous Time

Citations

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Cited by:

  1. Gauthier Tshiswaka-Kashalala & Steven F Koch, 2018. "The Demand for Reproductive Health Care," Journal of African Economies, Centre for the Study of African Economies, vol. 27(4), pages 405-429.
  2. Shah, Anand, 2016. "Pricing and Risk Mitigation Analysis of a Cyber Liability Insurance using Gaussian, t and Gumbel Copulas – A case for Cyber Risk Index," MPRA Paper 111968, University Library of Munich, Germany.
  3. Battulga Gankhuu, 2021. "Options Pricing under Bayesian MS-VAR Process," Papers 2109.05998, arXiv.org, revised Sep 2024.
  4. Mondher Bellalah & Yaosheng Xu & Detao Zhang, 2019. "Intertemporal optimal portfolio choice based on labor income within shadow costs of incomplete information and short sales," Annals of Operations Research, Springer, vol. 281(1), pages 397-422, October.
  5. Will Hicks, 2020. "Pseudo-Hermiticity, Martingale Processes and Non-Arbitrage Pricing," Papers 2009.00360, arXiv.org, revised Apr 2021.
  6. Mordecki, Ernesto & Rodríguez, Andrés Sosa, 2021. "Country risk for emerging economies: a dynamical index proposal with a case study," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 40(2), April.
  7. Timothy DeLise, 2021. "Neural Options Pricing," Papers 2105.13320, arXiv.org.
  8. Azadeh Naderifard & Elham Dastranj & S. Reza Hejazi, 2018. "Exact solutions for time-fractional Fokker–Planck–Kolmogorov equation of Geometric Brownian motion via Lie point symmetries," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-15, June.
  9. Frank J. Fabozzi & Robert J. Shiller & Radu S. Tunaru, 2012. "A Pricing Framework for Real Estate Derivatives," European Financial Management, European Financial Management Association, vol. 18(5), pages 762-789, November.
  10. R. S. Tunaru, 2018. "Dividend derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 63-81, January.
  11. R. Vilela Mendes & M. J. Oliveira & A. M. Rodrigues, 2012. "The fractional volatility model: No-arbitrage, leverage and completeness," Papers 1205.2866, arXiv.org.
  12. Wang, Jingxing & Chung, Seokhyun & AlShelahi, Abdullah & Kontar, Raed & Byon, Eunshin & Saigal, Romesh, 2021. "Look-ahead decision making for renewable energy: A dynamic “predict and store” approach," Applied Energy, Elsevier, vol. 296(C).
  13. Leung, Melvern & Fung, Man Chung & O’Hare, Colin, 2018. "A comparative study of pricing approaches for longevity instruments," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 95-116.
  14. Leccadito, Arturo & Paletta, Tommaso & Tunaru, Radu, 2016. "Pricing and hedging basket options with exact moment matching," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 59-69.
  15. Samim Ghamami, 2015. "Derivatives Pricing under Bilateral Counterparty Risk," Finance and Economics Discussion Series 2015-26, Board of Governors of the Federal Reserve System (U.S.).
  16. De Col, Alvise & Gnoatto, Alessandro & Grasselli, Martino, 2013. "Smiles all around: FX joint calibration in a multi-Heston model," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3799-3818.
  17. Battulga Gankhuu, 2021. "Rainbow Options under Bayesian MS-VAR Process," Papers 2112.10447, arXiv.org, revised May 2023.
  18. Oldouz Samimi & Farshid Mehrdoust, 2018. "Pricing multi-asset American option under Heston stochastic volatility model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 1-16, September.
  19. John Armstrong & Claudio Bellani & Damiano Brigo & Thomas Cass, 2021. "Option pricing models without probability: a rough paths approach," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1494-1521, October.
  20. Mahringer, Steffen & Fuess, Roland & Prokopczuk, Marcel, 2015. "Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach," Working Papers on Finance 1512, University of St. Gallen, School of Finance.
  21. Mondher Bellalah & Xu Guo & Shuo Wu & Detao Zhang, 2022. "General equilibrium with heterogeneous participants and continuous consumption with information costs and short selling constraints," Annals of Operations Research, Springer, vol. 313(2), pages 713-732, June.
  22. Stanescu, Silvia & Tunaru, Radu & Candradewi, Made Reina, 2014. "Forward–futures price differences in the UK commercial property market: Arbitrage and marking-to-model explanations," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 177-188.
  23. Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2013. "Option-based risk management of a bond portfolio under regime switching interest rates," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 36(1), pages 47-70, May.
  24. HABIBI, Reza, 2021. "Role Of Early Warning Systems In Predicting The Stock Price Crisis: What We Learnt From Grasshopper And Ants Fable," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 25(2), pages 6-20, June.
  25. Dirk Hackbarth & Bart Taub, 2022. "Does the Potential to Merge Reduce Competition?," Management Science, INFORMS, vol. 68(7), pages 5364-5383, July.
  26. Battulga Gankhuu, 2021. "Equity-Linked Life Insurances on Maximum of Several Assets," Papers 2111.04038, arXiv.org, revised Sep 2024.
  27. Zahra Sokoot & Navideh Modarresi & Farzaneh Niknejad, 2017. "Modeling credit default swap premiums with stochastic recovery rate," Papers 1706.05703, arXiv.org.
  28. Nelson Christopher Dzupire & Philip Ngare & Leo Odongo, 2019. "Pricing Basket Weather Derivatives on Rainfall and Temperature Processes," IJFS, MDPI, vol. 7(3), pages 1-14, June.
  29. Mondher Bellalah & Detao Zhang & Panpan Zhang, 2023. "An optimal portfolio and consumption problem with a benchmark and partial information," Mathematics and Financial Economics, Springer, volume 17, number 6, February.
  30. Fung, Man Chung & Ignatieva, Katja & Sherris, Michael, 2014. "Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 103-115.
  31. Antulio N. Bomfim, 2023. "Credit default swaps," Chapters, in: Refet S. Gürkaynak & Jonathan H. Wright (ed.), Research Handbook of Financial Markets, chapter 19, pages 429-450, Edward Elgar Publishing.
  32. Joshua R. Hendrickson & Alexander William Salter, 2020. "Options To The Realm: A Cost Neutral Proposal To Improve Political Incentives," Contemporary Economic Policy, Western Economic Association International, vol. 38(3), pages 515-529, July.
  33. Hyungbin Park, 2014. "Pricing and Hedging Long-Term Options," Papers 1410.8160, arXiv.org, revised Mar 2016.
  34. Andr'es Sosa & Ernesto Mordecki, 2015. "Modelling the Uruguayan debt through gaussians models," Papers 1508.00108, arXiv.org.
  35. Raquel M. Gaspar, 2016. "On Path–dependency of Constant Proportion Portfolio Insurance strategies," EcoMod2016 9381, EcoMod.
  36. Alexander M. G. Cox & Christoph Hoeggerl, 2013. "Model-independent no-arbitrage conditions on American put options," Papers 1301.5467, arXiv.org.
  37. Mondher Bellalah & Detao Zhang & Panpan Zhang, 2020. "Optimal Portfolio Choice Under Shadow Costs with Fixed Assets when Time-Horizon Is Uncertain," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 5-20, June.
  38. Anna Maria Gambaro & Riccardo Casalini & Gianluca Fusai & Alessandro Ghilarducci, 2019. "A market-consistent framework for the fair evaluation of insurance contracts under Solvency II," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 157-187, June.
  39. Myles Sjogren & Timothy DeLise, 2021. "General Compound Hawkes Processes for Mid-Price Prediction," Papers 2110.07075, arXiv.org.
  40. Jihun Han & Hyungbin Park, 2014. "The Intrinsic Bounds on the Risk Premium of Markovian Pricing Kernels," Papers 1411.4606, arXiv.org, revised Sep 2015.
  41. Reza Habibi, 2024. "Optimal Time for Closing a Trading Position," Athens Journal of Business & Economics, Athens Institute for Education and Research (ATINER), vol. 10(4), pages 309-318, October.
  42. Thomas Bernhardt & Catherine Donnelly, 2019. "Modern tontine with bequest: innovation in pooled annuity products," Papers 1903.05990, arXiv.org.
  43. Dorje C. Brody & Lane P. Hughston, 2018. "Social Discounting And The Long Rate Of Interest," Mathematical Finance, Wiley Blackwell, vol. 28(1), pages 306-334, January.
  44. Samim Ghamami & Lisa R. Goldberg, 2014. "Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA," Finance and Economics Discussion Series 2014-54, Board of Governors of the Federal Reserve System (U.S.).
  45. Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2020. "A moment matching method for option pricing under stochastic interest rates," Papers 2005.14063, arXiv.org.
  46. Hyungbin Park, 2014. "Ross Recovery with Recurrent and Transient Processes," Papers 1410.2282, arXiv.org, revised Oct 2015.
  47. Aghakazemjourabbaf, Sara & Insley, Margaret, 2021. "Leaving your tailings behind: Environmental bonds, bankruptcy and waste cleanup," Resource and Energy Economics, Elsevier, vol. 65(C).
  48. Francesco Menoncin & Elena Vigna, 2013. "Mean-variance target-based optimisation in DC plan with stochastic interest rate," Carlo Alberto Notebooks 337, Collegio Carlo Alberto.
  49. Bernhardt, Thomas & Donnelly, Catherine, 2019. "Modern tontine with bequest: Innovation in pooled annuity products," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 168-188.
  50. Peter Christensen, 2024. "Roughness Signature Functions," Papers 2401.02819, arXiv.org.
  51. Anatoliy Swishchuk, 2021. "Merton Investment Problems in Finance and Insurance for the Hawkes-based Models," Papers 2104.02694, arXiv.org, revised May 2021.
  52. Battulga Gankhuu, 2022. "Augmented Dynamic Gordon Growth Model," Papers 2201.06012, arXiv.org, revised Sep 2024.
  53. Anatoliy Swishchuk, 2021. "Merton Investment Problems in Finance and Insurance for the Hawkes-Based Models," Risks, MDPI, vol. 9(6), pages 1-13, June.
  54. Yin-Hei (Michael) Cheng & Tony S. Wirjanto, 2013. "Pricing Financial Derivatives by Gram-Charlier Expansions," Working Paper series 61_13, Rimini Centre for Economic Analysis.
  55. Dorje C. Brody & Lane P. Hughston, 2013. "Social Discounting and the Long Rate of Interest," Papers 1306.5145, arXiv.org, revised Sep 2015.
  56. van Staden, Pieter M. & Forsyth, Peter A. & Li, Yuying, 2024. "Across-time risk-aware strategies for outperforming a benchmark," European Journal of Operational Research, Elsevier, vol. 313(2), pages 776-800.
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